Mac OS X: You can search your iTunes library or the store, but for whatever reason Apple made the keyboard shortcut the more uncomfortable Command+Option+F. If you want to change it to something more convenient (like Command+F), here's a useful Terminal trick to help you out.

Hit return, then relaunch iTunes. Now you can press Command+F to take yourself to the search field. If you'd prefer a different shortcut, just change the @F part of that Terminal code snippet to @ some other letter (or number). However you do it, you've now got a handy search shortcut in iTunes.